Post #5064 by musselmant on the Mechanical Investing board

Investment Strategies / Mechanical Investing

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No. of Recommendations: 5

Sorry about that: I've run so many possibilities I posted the wrong screen.
This one uses 200 days and has a beta of 1 and sharpe of .84 and 10 stocks with a CAGR of 26.29
https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:t...

But if you simply the timing test instead of using the 3-part used so often on this board,
and instead just use SPY>SMA325 to be in the market or out, you get

10 stocks v. 5 stocks
CAGR 23.8%    27.7%
sharpe .83      .85
beta   .82      .87
mdd -51%      -55.3%
2000 26%        
2001  3%
2008 -4%       -3.4%
2023 23%

https://gtr1.net/2013/?h21f0.10000::nas100.a:et1:t...

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